Man pages for ldhmm
Hidden Markov Model for Financial Time-Series Based on Lambda Distribution

ldhmmConstructor of ldhmm class
ldhmm.calc_stats_from_obsComputing the statistics for each state
ldhmm-classThe ldhmm class
ldhmm.conditional_probComputing the conditional probabilities
ldhmm.decode_stats_historyEstimating historical statistics (mean, volatility and...
ldhmm.decodingComputing the minus log-likelihood (MLLK)
ldhmm.forecast_probComputing the forecast probability distribution
ldhmm.forecast_stateComputing the state forecast
ldhmm.forecast_volatilityComputing the volatility forecast for next one period
ldhmm.fred_dataUtility to download time series from FRED
ldhmm.gamma_initInitializing tansition probability paramter
ldhmm.ld_statsComputes the theoretical statistics per state
ldhmm.log_forwardComputing the log forward and backward probabilities
ldhmm.mleComputing the MLEs
ldhmm.mllkComputing the minus log-likelihood (MLLK)
ldhmm.n2wTransforming natural parameters to a linear working parameter...
ldhmm.oxford_man_index_listGet the index list from Oxford-Man
ldhmm.oxford_man_plot_obsPlotting Oxford-Man realized volatility overlaid with HMM...
ldhmm.oxford_man_realized_dataGet the realized data from Oxford-Man
ldhmm.oxford_man_tsGet time series from Oxford-Man Realized data set
ldhmm-packageldhmm: A package for HMM using lambda distribution.
ldhmm.plot_spx_vix_obsPlotting HMM expected volatility for SPX overlaid with...
ldhmm.pseudo_residualsComputing pseudo-residuals
ldhmm.read_sample_objectRead sample ldhmm object
ldhmm.simulate_abs_acfSimulating auto-correlation (ACF)
ldhmm.simulate_state_transitionSimulating state transition
ldhmm.smaSimple moving average of a time series
ldhmm.state_ldConstructing the ecld objects per state
ldhmm.state_pdfComputing the PDF per state given the observations
ldhmm.ts_abs_acfComputing ACF of the absolute value of a time series
ldhmm.ts_log_rtnGet log-returns from historic prices of an index
ldhmm.viterbiComputing the global decoding by the Viterbi algorithm
ldhmm.w2nTransforming working parameter array to natural parameters
numericOrNull-classThe numericOrNull class
ldhmm documentation built on Jan. 11, 2020, 9:16 a.m.